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| Natura: | Artículo Open Access |
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Wiley
2024
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| Accesso online: | https://onlinelibrary.wiley.com/doi/10.1002/for.3203 |
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| _version_ | 1867002651601797120 |
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| author | Jinhwan Kim Hoon Cho Doojin Ryu |
| author_facet | Jinhwan Kim Hoon Cho Doojin Ryu Jinhwan Kim Hoon Cho Doojin Ryu |
| collection | Wiley Open Access |
| contents | Global Risk Aversion: Driving Force of Future Real Economic Activity Jinhwan Kim Hoon Cho Doojin Ryu Journal of Forecasting ABSTRACTThis study examines how global risk aversion affects future real economic activity (REA). We propose a new international real business cycle (RBC) framework with a stochastic global risk aversion spillover process by extending the RBC model. Our model suggests output competition and risk aversion spillover as two influence channels of global risk aversion. We extract relative risk aversion factors and evaluate the significance of changes in the level of global risk aversion for forecasting. Our findings suggest that changes in the level of global risk aversion significantly drive the business cycle of open economies. A global risk aversion factor predicts a domestic country's future REA at least as well as the domestic risk aversion factor does. The impact of global risk aversion can vary depending on a country's relative productivity. 10.1002/for.3203 http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| doi_str_mv | 10.1002/for.3203 |
| format | Artículo Open Access |
| id | wiley_oa_10_1002_for_3203 |
| institution | Wiley Open Access |
| license_str_mv | http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| publishDate | 2024 |
| publisher | Wiley |
| record_format | wiley_oa |
| spellingShingle | Global Risk Aversion: Driving Force of Future Real Economic Activity Jinhwan Kim Hoon Cho Doojin Ryu Journal of Forecasting Global Risk Aversion: Driving Force of Future Real Economic Activity Jinhwan Kim Hoon Cho Doojin Ryu Journal of Forecasting ABSTRACTThis study examines how global risk aversion affects future real economic activity (REA). We propose a new international real business cycle (RBC) framework with a stochastic global risk aversion spillover process by extending the RBC model. Our model suggests output competition and risk aversion spillover as two influence channels of global risk aversion. We extract relative risk aversion factors and evaluate the significance of changes in the level of global risk aversion for forecasting. Our findings suggest that changes in the level of global risk aversion significantly drive the business cycle of open economies. A global risk aversion factor predicts a domestic country's future REA at least as well as the domestic risk aversion factor does. The impact of global risk aversion can vary depending on a country's relative productivity. 10.1002/for.3203 http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| title | Global Risk Aversion: Driving Force of Future Real Economic Activity |
| topic | Journal of Forecasting |
| url | https://onlinelibrary.wiley.com/doi/10.1002/for.3203 |